Well.... first, you have to install grub, the actual program. May be Mandrake provides an rpm, but i'm not sure. After having done so, you need to edit the grub config file (I am not using Grub, so I don't know where it is located). There should be many howto's at
www.tldp.org about grub. And then finally, you would have to run grub, to install it into the mbr, where lilo is sitting at the moment.
Hopefully useful stuff....